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Eventus®  Additional Event Study Features

Additional Event Study Output

  • Lists complete name of each sample stock as reported on the CRSP or non-CRSP input database, user-defined identifying variable if any, event date including day of the week, number of non-missing returns in the estimation and event periods, explanation when data is not found or there is insufficient data.
  • Summary of options in effect.
  • Estimation period mean return, market model parameters, residual and total risk measures, mean market index return and serial correlation for each event.
  • Event study results for each day (month) and window (see "Event Period.")
  • Option to print windows or full event study results for each firm separately.

Cross-Sectional Event Study Testing Support

  • Option to store firm-by-firm results in a SAS data set.
  • Option to produce cross-sectional data set with window cumulative abnormal return (or abnormal buy-and-hold return) for each firm.
  • Option to include in cross-sectional data set a weight for each firm consistent with Patell standardized residual model.
  • Cross-sectional data set contains dependent variable and weight ready for PROC REG -- just add explanatory variables.

Other Event Study Features

  • Volume event studies (using relative trading volume instead of return).
  • Significance levels reported for one or two tailed tests as specified by user.
  • Option to specify minimum number of non-missing returns in estimation period for observation to remain in sample.
  • Option to specify maximum number of missing returns in event period for observation to remain in sample.
  • Accepts non-CRSP data in a specific ASCII file format or in a SAS data set.
  • Prompt, expert user support by e-mail.

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